Reading 13: Time-Series Analysis-LOS l 习题精选

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Session 3: Quantitative Methods for Valuation
Reading 13: Time-Series Analysis

LOS l: Discuss how to test and correct for seasonality in a time-series model, and calculate and interpret a forecasted value using an AR model with a seasonal lag.

Barry Phillips, CFA, is analyzing quarterly data. He has estimated an AR(1) relationship (x_t = b₀ + b₁ × x_t-1 + e_t) and wants to test for seasonality. To do this he would want to see if which of the following statistics is significantly different from zero?

A)	Correlation(e_t, e_t-1).

B)	Correlation(e_t, e_t-4).

C)	Correlation(e_t, e_t-5).

Although seasonality can make the other correlations significant, the focus should be on correlation(e_t, e_t-4) because the 4^th lag is the value that corresponds to the same season as the predicted variable in the analysis of quarterly data.

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发表于 2011-3-3 15:06 | 只看该作者

Which of the following statements regarding seasonality is least accurate?

A)	Not correcting for seasonality when, in fact, seasonality exists in the time series results in a violation of an assumption of linear regression.

B)	The presence of seasonality makes it impossible to forecast using a time-series model.

C)	A time series that is first differenced can be adjusted for seasonality by incorporating the first-differenced value for the previous year's corresponding period.

Forecasting is no different in the case of seasonal component in the time-series model than any other forecasting.

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